Correlation Estimation
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13.11.2022
Co-author
Affiliation
BMO
Main category
Economics (Finance)
Abstract
Rank correlation is the study of relationships between different rankings on the same set of items. A rank correlation coefficient measures the correspondence between two rankings and assesses its significance. Two of the most popular rank correlation statistics are Kendall’s tau and Spearman’s rho.
Further information
Further reading
https://ia601402.us.archive.org/23/items/correlation-calibration/CorrelationCalibration.pdf
Language
English
DOI
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